Lecture

Содержание

1. Lecture
2. Eugene FamaBorn in 1939, an American economist,
3. Eugene FamaE. Fama is most often thought
4. GSS, Gross security selection = ract -
5. NSS, Net security selection = GSS – CFDR
6. In 2012, a managed portfolio: mean returnp
7. Analysis of abnormal return by E.
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Eugene FamaBorn in 1939, an American economist, known for his work on portfolio theory and asset pricing, both theoretical and empirical. Currently he is a professor of finance at the University

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Слайд 1Lecture

Analysis of abnormal return
of managed portfolios by E. Fama.
GSS.

CFDR. NSS.

Слайд 2Eugene Fama
Born in 1939, an American economist, known for his

work on portfolio theory and asset pricing, both theoretical and

empirical.

Currently he is a professor of finance at the University of Chicago Booth School of Business. MBA, PhD.

Eugene FamaBorn in 1939, an American economist, known for his work on portfolio theory and asset pricing,

Слайд 3Eugene Fama
E. Fama is most often thought of as the

father of efficient market hypothesis (EMH), beginning with his Ph.D.

thesis.

In a ground-breaking article in the May, 1970 issue of the Journal of Finance, entitled "Efficient Capital Markets: A Review of Theory and Empirical Work," E. Fama proposed three types of efficiency:
strong-form;
semi-strong form; and
weak efficiency.

He was a co-founder of Fama–French three-factor model (1993).

Eugene FamaE. Fama is most often thought of as the father of efficient market hypothesis (EMH), beginning

Слайд 4 GSS, Gross security selection = ract - rCAPM = CFDR

+ NSS

CFDR, Compensation for diversifiable risk is the effect of

higher volatility of portfolio on the GSS.

CFDR = (rm – rf)*(sigmap/sigmam – betap)

sigmap/sigmam could be called the «degree of volatility»

NB: sigmap/sigmam > betap

Analysis of abnormal return by E. Fama